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Bidimensional random effect estimation in mixed stochastic differential model
7 references·0 citing·21 second hop
Bidimensional random effect estimation in mixed stochastic differential model (2015)Bidimensional random effect estimation in…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Nonparametric estimation for stochastic differential equations with random effects (2013)Nonparametric estimation for …Mouvement brownien, martingales et calcul stochastique (2012)Mouvement brownien, martingal…Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects (2012)Maximum Likelihood Estimation…On the discretization schemes for the CIR (and Bessel squared) processes (2005)On the discretization schemes…Stochastic Volatility Models as Hidden Markov Models and Statistical Applications (2000)Stochastic Volatility Models …Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…The Pricing of Options on Assets with Stochastic Volatilities (1987)ARCH models as diffusion approximations (1990)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)Stochastic Differential Equations and Diffusion Processes (1983)Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochastic Calculus (1998)Estimation of population parameters in stochastic differential equations with random effects in the diffusion coefficient (2015)Nonparametric drift estimation for i.i.d. paths of stochastic differential equations (2020)A Theory of the Term Structure of Interest Rates (1985)A comparison of biased simulation schemes for stochastic volatility models (2009)High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (2016)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Overconfidence and Speculative Bubbles (2003)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)
this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2005On the discretization schemes for the CIR (and Bessel squared) processes246 cited
  • 2000Stochastic Volatility Models as Hidden Markov Models and Statistical Applications230 cited
  • 2012Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects59 cited
  • 2012Mouvement brownien, martingales et calcul stochastique48 cited
  • 2013Nonparametric estimation for stochastic differential equations with random effects30 cited

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